us_ls_growth_ubs_sriskcompare Simulation Summary
Data
Missing Derived
Missing Prices
Portfolio Summary
Leverage
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## i See also `vignette("ggplot2-in-packages")` for more information.
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Names
Eff Names
Position Weight
Optimization Summary
Objective
Objective Terms
Objective Terms Scaled
Total Risk
Elapsed
Return Summary
Active Return
## Warning: `aes_()` was deprecated in ggplot2 3.0.0.
## i Please use tidy evaluation idioms with `aes()`
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Total Return
Mean Return
Tracking Error
Std Dev
Sharpe Ratio
Information Ratio
Beta
Alpha
Capture
Drawdown Summary
Drawdowns
simulation_id | from | to | depth | length | to_trough | recovery | |
|---|---|---|---|---|---|---|---|
us-100-40-quality-nosrisk-mnsc | 2012-01-01 00:00:00 | 2012-05-01 00:00:00 | -2.76% | 5 | 2 | 3 | |
us-100-40-quality-nosrisk-mnsc | 2015-04-01 00:00:00 | 2015-06-01 00:00:00 | -3.33% | 3 | 1 | 2 | |
us-100-40-quality-nosrisk-mnsc | 2016-03-01 00:00:00 | 2016-04-01 00:00:00 | -2.14% | 2 | 1 | 1 | |
us-100-40-quality-nosrisk-mnsc | 2017-01-01 00:00:00 | 2018-03-01 00:00:00 | -5.88% | 15 | 6 | 9 | |
us-100-40-quality-nosrisk-mnsc | 2018-04-01 00:00:00 | -26.59% | 70 | 42 | |||
us-100-40-quality-mnsc | 2015-04-01 00:00:00 | 2015-07-01 00:00:00 | -2.70% | 4 | 1 | 3 | |
us-100-40-quality-mnsc | 2016-01-01 00:00:00 | 2016-12-01 00:00:00 | -2.37% | 12 | 8 | 4 | |
us-100-40-quality-mnsc | 2017-09-01 00:00:00 | 2017-11-01 00:00:00 | -2.12% | 3 | 1 | 2 | |
us-100-40-quality-mnsc | 2018-04-01 00:00:00 | 2019-02-01 00:00:00 | -3.82% | 11 | 4 | 7 | |
us-100-40-quality-mnsc | 2019-09-01 00:00:00 | -18.46% | 53 | 27 |
Returns
Moving Average - Total
Moving Average - Active
Moving Std Dev - Total
Moving Std Dev - Active
Moving Sharpe Ratio
Return Betas
Returns vs. Market
## Warning: Using `size` aesthetic for lines was deprecated in ggplot2 3.4.0.
## i Please use `linewidth` instead.
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Rolling Betas
ex-Ante Risk Summary
Solution - Total
Solution - Active
Solution - by Type
Min Var
Min Var - Comparison
Min Var - Reduction
Portfolio Exposures
Signal
Alpha - z-Score
Alpha - ER
Industry
Alpha Factors
Variables
Active
Managed
Long
Short
Beta
Predicted Market Beta - Active
Predicted Market Beta - Managed
Predicted Market Beta - Long
Predicted Market Beta - Short
Beta Decomposition
Beta Decomposition - Active
Beta Decomposition - Managed
Macroeconomic Beta
Macroeconomic Beta - Active
Macroeconomic Beta - Managed
Geographical
Country
Region
Sector
Industry - GICS
Sector - GICS
Portfolio Quantile Weights
Signal
Alpha - z-Score
Alpha - z-Score - Long
Alpha - z-Score - Short
Industry - z-Score
Beta
Predicted Market Beta - Managed
Predicted Market Beta - Active
Predicted Market Beta - Long
Predicted Market Beta - Short
Variables
Variables - Managed
Variables - Active
Variables - Long
Variables - Short
TC
Diagonal
Full
Trading Summary
Turnover
User: kcole